成熟与新兴能源市场间的动态相互依赖与冲击传导：对基准形成和区域市场一体化的影响

摘要

This study examines cross-market shock transmission and benchmark heterogeneity across six major global oil and natural gas contracts: Brent crude oil futures, WTI crude oil futures, Shanghai INE crude oil futures, the Japan-Korea Marker LNG futures, IPE natural gas futures, and NYMEX natural gas futures. Using a multi-method framework combining directional connectedness, the Diebold-Yilmaz generalized spillover index, impulse response analysis, dynamic time warping clustering, and club convergence, we analyze how structural differences across markets in terms of geographic scope, development stage, and institutional context shape the direction and persistence of shock propagation over the period March 2018 to December 2023. Results show that Brent crude oil futures act as the dominant net transmitter of shocks across the system, while Shanghai INE and the Japan-Korea Marker consistently absorb external shocks as net receivers, reflecting regional segmentation and infrastructure constraints that limit their price discovery capacity. Three distinct market clusters are identified, with oil benchmarks grouping separately from regional gas contracts, and club convergence analysis reveals a common long-run equilibrium across all markets despite short-run heterogeneity. These findings carry implications for benchmark formation, hedging strategy, and regional market integration policy in the global oil and natural gas complex.